Related papers: Defining, Estimating and Using Credit Term Structu…

In safety-critical deep learning applications, robustness measures the ability of neural models that handle imperceptible perturbations in input data, which may lead to potential safety hazards. Existing pre-deployment robustness assessment…

A fruitful idea, when providing subdifferential formulae and dual representations for convex risk measures, is to make use of the conjugate duality theory in convex optimization. In this paper we underline the outstanding role played by the…

We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition laws. We start from one-step convex risk evaluations in which…

Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…

This article develops a quality notion that is complementary to the system notion. As a major consequence, it becomes clear why quality can be measured only to a certain extend based on the issues of validity and incompleteness. First,…

Since risky positions in multivariate portfolios can be offset by various choices of capital requirements that depend on the exchange rules and related transaction costs, it is natural to assume that the risk measures of random vectors are…

A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…

In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The proposed framework not only integrates existing forms of…

This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we give asymptotic results of the first and second order…

The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup, and to investigate the corresponding dynamic coherent acceptability indices (DCAIs) generated by families of such risk…

Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alternatives of a given discrete model. We measure the impact of…

We present an extension to the robust phase estimation protocol, which can identify incorrect results that would otherwise lie outside the expected statistical range. Robust phase estimation is increasingly a method of choice for…

In two earlier papers we derived congruence formats with regard to transition system specifications for weak semantics on the basis of a decomposition method for modal formulas. The idea is that a congruence format for a semantics must…

Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures.…

Robustness checks are routine in empirical work, but there is no standard statistical procedure to formally measure what one can learn from them. I propose a "robustness radius" measure to quantify the amount by which the robustness checks…

Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for…

Credit risk in the China's bond market has become increasingly evident, creating a progressively escalating risk of default for credit bond investors. Given the current incomplete and inaccurate bond information disclosure, timely tracking…

With negative growth in real production in many countries and debt levels which become an increasing burden on developed societies, the calls for a change in economic policy and even the monetary system become louder and increasingly…